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An alternative Z-score measure for downside bank insolvency risk

Author

Listed:
  • Laetitia Lepetit

    (LAPE - Laboratoire d'Analyse et de Prospective Economique - GIO - Gouvernance des Institutions et des Organisations - UNILIM - Université de Limoges)

  • Frank Strobel

    (University of Birmingham [Birmingham])

  • Thu Ha Tran

    (EconomiX - EconomiX - UPN - Université Paris Nanterre - CNRS - Centre National de la Recherche Scientifique)

Abstract

We derive a Z-score measure reflecting downside bank insolvency risk, drawing on a Chebyshev inequality in terms of the lower semivariance. As then illustrated empirically for US banks, this may provide a useful alternative, or robustness check, to the more commonly used Z-score measure based on the standard Chebyshev inequality.

Suggested Citation

  • Laetitia Lepetit & Frank Strobel & Thu Ha Tran, 2020. "An alternative Z-score measure for downside bank insolvency risk," Post-Print hal-02519029, HAL.
    • Handle: RePEc:hal:journl:hal-02519029
    DOI: 10.1080/13504851.2020.1739222
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    Cited by:

    1. Ozili, Peterson K, 2024. "Impact of Financial stability on economic growth in Nigeria," MPRA Paper 120776, University Library of Munich, Germany.
    2. Khodor Trad, 2023. "Banking Competition, Efficiency and Stability in the MENA Region," International Business Research, Canadian Center of Science and Education, vol. 16(9), pages 1-50, September.
    3. You-Shyang Chen & Chien-Ku Lin & Chih-Min Lo & Su-Fen Chen & Qi-Jun Liao, 2021. "Comparable Studies of Financial Bankruptcy Prediction Using Advanced Hybrid Intelligent Classification Models to Provide Early Warning in the Electronics Industry," Mathematics, MDPI, vol. 9(20), pages 1-26, October.

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